Cotton hangs on to and soaks in moisture so it's not a good idea to use them for the entire thing. The pollyfill holds the liquid but doesn't hand on to it as tightly as cotton. Then the inner filler
is cotton. It keeps the fluid from flooding the wick. Since cotton holds on to the moisture the pollyfill just feed the outer cotton which keeps it near the wick. (does that make sense?)
I tried blue foam and didn't like it. Don't let that stop you from trying stuff though.
Basically you want something porous that will hold liquid but allow it to flow through as well, a thin piece of something that soaks in fluid and hangs on to it and then the wick.
What I tried once or twice was eliminating the inner cotton entirely and leaving long cotton wicks which I wrapped around the base of the tube but it still doesn't work as well as the separate cotton piece. That's a head scratcher. The reason I did it is because the cotton piece wears out/burns faster that the polyfill. So I was running low. But Discount Vapors sells replacement cotton that works adequately.
Replacement Inner Fill
If you experiment with cotton wicks, make sure you use 100% natural and non mercerized. Mercerizing is a process using harsh chemicals to soften cotton. Worriers here on the forum fear that there may be some left over on the cotton during the process and it's always better to be safe than sorry.